Exporting loops to Unity?
you should actually loop it in unity. when you will click on file on explorer on inspector go to animation tab select "loop time" option.

In unity 4.6.1f version.

Note option may depend on your version of unity3D

For using it in animation controller.

click on the object in explorer

on inspector goto rig tab choose animation type to legacy

now go to animation tab select animation you want to loop further scroll down check add loop frame and make sure warp mode is loop then click apply.

Now add game object in scene add animation controller and mark play automatically.

This method worked for me. Do let me know if you find some problem.